Generally speaking, grey market items are items that are not produced/distributed for their specific region. When items are distributed, they're distributed to a specific region, such as Japan. But, places online can get their hands on these items and sell it in the US, therefore making it a grey market item. Technically they're not illegal, just being sold outside of normal distribution channels. Most of the time, you don't get warranty for these items.
Grey market - Wikipedia, the free encyclopedia